If you want to look at or edit the source inside the file, you would install ghex or hexedit in linux from the software center or the package management program synaptic. If you mean to run the file you need to install the Wine program, how ever this program does not run all types of Window files, it is limited in use. If you want to extract the contents you would install the program mscompress.
I think you can just install Wine on your Linux computer and try installing the actually Hex editor program that runs on windows and see if that works my friend. Once Wine is installed you should be able to run executables like a normal Windows machine.